Optimization in finance - OPTFIN 2012 workshop

Bogdan, Marcel
Comes, Calin-Adrian
Stefan, Daniel
Weber, Gerhard Wilhelm


Continuous Optimization in Finance
Weber, Gerhard Wilhelm (2009-01-01)
Optimization of transmission network for homogeneous good market
Vasin, A.; Gao, H.; Dolmatova, M.; Weber, Gerhard Wilhelm (Informa UK Limited, 2017-01-01)
We examine a model of a perfect competitive homogeneous good market with a network structure. Such a structure is typically important for energy resources: natural gas, oil and electricity. Local markets are connected by transmission lines with limited capacities and given cost functions for capacity increments. We consider the total welfare optimization problem and provide a method that determines optimal investments in the transmission system expansion for some types of the networks. In particular, we stu...
Solving optimal investment problems with structured products under CVaR constraints
Korn, Ralf; Zeytun, Serkan (Informa UK Limited, 2009-01-01)
We consider a simple investment problem where besides stocks and bonds the investor can also include options (or structured products) into the investment portfolio. The aim of the investor is to maximize the expected return under a conditional value-at-risk (CVaR) constraint. Due to possible intermediate payments, we have to deal with a re-investment problem which turns the original one-period problem into a multi-period one. For solving this problem, an iterative scheme based on linear optimization is deve...
Effective optimization with weighted automata on decomposable trees
Ravve, E. V.; Volkovich, Z.; Weber, Gerhard Wilhelm (Informa UK Limited, 2014-01-02)
In this paper, we consider quantitative optimization problems on decomposable discrete systems. We restrict ourselves to labeled trees as the description of the systems and we use weighted automata on them as our computational model. We introduce a new kind of labeled decomposable trees, sum-like weighted labeled trees, and propose a method, which allows us to reduce the solution of an optimization problem, defined in a fragment of Weighted Monadic Second Order Logic, on such a tree to the solution of effec...
Optimal pricing and ordering policy for non-instantaneous deteriorating items under inflation and customer returns
Ghoreishi, M.; Mirzazadeh, A.; Weber, Gerhard Wilhelm (Informa UK Limited, 2014-01-01)
This paper deals with an economic production quantity inventory model for non-instantaneous deteriorating items under inflationary conditions considering customer returns. We adopt a price-and time-dependent demand function. Also, the customer returns are considered as a function of both price and demand. The effects of time value of money are studied using the Discounted Cash Flow approach. The main objective is to determine the optimal selling price, the optimal replenishment cycles, and the optimal produ...
Citation Formats
M. Bogdan, C.-A. Comes, D. Stefan, and G. W. Weber, “Optimization in finance - OPTFIN 2012 workshop,” OPTIMIZATION, pp. 1781–1783, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/56329.